EHI vs SPY: Correlation
Western Asset Global High Income Fund Inc (EHI) and SPDR S&P 500 ETF Trust (SPY) show a moderate relationship: their 3-year correlation of weekly returns is 0.57.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EHI and SPY?
Across a 3-year window, the weekly returns of EHI and SPY correlate at 0.57, moderate. Little has changed lately, as the 1-year reading of 0.64 lands near the 3-year figure. Stretching to 5 years gives 0.55, with an annualized covariance of 94.1 %².
Among the 15 assets we track against EHI, SPY ranks #10 by 3-year correlation. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 21.2 percentage points (-0.6% for EHI against +20.6% for SPY).
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
EHI vs SPY: side by side
| EHI (Western Asset Global High Income Fund Inc) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -0.6% | +20.6% |
| 5-year return | -1.0% | +82.4% |
| Volatility (ann.) | 11.4% | 14.5% |
| Beta vs S&P 500 | 0.45 | 1.00 |
| Max drawdown (3Y) | -16.0% | -18.8% |
| Market cap | $0.2B | – |
| P/E (trailing) | 8.0 | – |
| Dividend yield | 14.66% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | US Listed | ETF · US Large Cap |
SPY is a Large Blend fund from State Street Investment Management: $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | EHI | SPY |
|---|---|---|
| 2022 | -25.2% | -18.2% |
| 2023 | +19.2% | +26.2% |
| 2024 | +4.2% | +24.9% |
| 2025 | +9.1% | +17.7% |
| 2026 | -2.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EHI and SPY good diversifiers for each other?
To a limited degree. At 0.57 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between EHI and SPY?
The EHI/SPY correlation stands at 0.57 on a 3-year window (1 year: 0.64, 5 years: 0.55), computed from weekly returns as of 2026-08-27.
Is SPY a good diversifier for EHI?
To a limited degree. At 0.57 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.57 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Related comparisons
Hubs: EHI correlations · SPY correlations
